Lehman Brothers has announced changes to several of its global indices, two of which affect CMBS. The changes will become effective July 1, 2004.

The first change imposes a tranche constraint of $25 million on CMBS transactions in the U.S. Aggregate Index. "We wanted to reduce line items," said Lehman CMBS analyst Jeff Mudrick. "CMBS was only about 2.7% of the index, and it had by far the most line items." The change will have only a marginal impact on CMBS, bringing its share of the index down from 2.69% to 2.61%. The primary effect will be on ratings composition, with single-As likely to fall from 4.5% to 3.3%. ABS components in this index were already subject to the $25 million minimum.

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